Duality and liquidity constraints under uncertainty

Hajivassiliou, Vassilis ORCID: 0009-0000-7041-0791 and Ioannides, Yannis (1996) Duality and liquidity constraints under uncertainty. Journal of Economic Dynamics and Control, 20 (6-7). pp. 1177-1192. ISSN 0165-1889

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Abstract

A dual approach to the problem of maximizing lifetime utility subject to liquidity constraints in discrete time leads to a dual dynamic programming formulation which links commodity and asset demand theory under uncertainty with Frisch demand theory. We establish the existence of a threshold level of wealth, that characterizes constrained behavior. We explore the power of the dual approach for empirical work.

Item Type:	Article
Official URL:	http://www.sciencedirect.com/science/journal/01651...
Additional Information:	© 1996 Elsevier Science B.V.
Divisions:	Economics STICERD
Subjects:	H Social Sciences > HB Economic Theory
JEL classification:	D - Microeconomics > D1 - Household Behavior and Family Economics > D12 - Consumer Economics: Empirical Analysis D - Microeconomics > D9 - Intertemporal Choice and Growth > D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving C - Mathematical and Quantitative Methods > C6 - Mathematical Methods and Programming > C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Date Deposited:	09 May 2008 13:45
Last Modified:	11 Dec 2024 22:04
URI:	http://eprints.lse.ac.uk/id/eprint/4789

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